MATH4240 - Stochastic Processes - 2017/18
Announcement
- Jan 8: Welcome to this course! Here is the tentative course schedule: [Download file]
- Feb 1: Quiz 1 will be held in class on Feb 6. There will be no makeup. The quiz will cover all updated lectures.
- Feb 27: Here is the arrangement for the midterm exam: [Download file]
- April 8: Quiz 2 will be held in class on April 10. There will be no makeup. The quiz will contain only two short questions related to how to find out the rate matrix D and Markov matrix Q for prescribed MJPs.
General Information
Lecturer
-
Prof. Renjun DUAN
- Office: LSB 206
- Tel: 39437977
- Email:
- Office Hours: 9:30am-10:30am each Tuesday or by appointment
Teaching Assistant
-
Mr. Tak Ming CHEUK
- Office: LSB 228
- Tel: 39437955
- Email:
- Office Hours: 2:00pm-5:00pm each Wednesday.
Time and Venue
- Lecture: Mo 10:30AM - 12:15PM, Mong Man Wai Bldg 702; Tu 10:30AM - 11:15AM, Lady Shaw Bldg C2
- Tutorial: Tu 11:30AM - 12:15PM, Lady Shaw Bldg C2
Course Description
Bernoulli processes and sum of independent random variables, Poisson processes, times of arrivals, Markov chains, transient and recurrent states, stationary distribution of Markov chains, Markov pure jump processes, and birth and death processes. Students taking this course are expected to have knowledge in probability.
Textbooks
- Introduction to Stochastic Processes by Hoel, Port and Stone (Chapter 1, Chapter 2, and Chapter 3 ONLY)
References
- Essentials of Stochastic Processes by Durrett (many applied examples)
- Introduction to Stochastic Processes by Lawler (condense)
- Basic Stochastic Processes by Brzezniak and Zastawniak (more theoretical)
- Denumerable Markov chains by Wolfgang Woess (more topics on Markov chains)
- Stochastic Processes by Sheldon Ross (more advanced)
Lecture Notes
- A Historical Note
- Summary of Chapter 0
- Summary of Chapter 1
- Summary of Chapter 2
- Short Summary for Midterm Exam
- Summary of Chapter 3
Tutorial Notes
- Tutorial Note 1(2018.1.9)
- Tutorial Note 2(2018.1.16)
- Tutorial Note 3(2018.1.23)
- Tutorial Note 4(2018.1.30)
- Tutorial Note 5(2018.2.6)
- Tutorial Note 6(2018.2.13)
- Tutorial Note 7(2018.2.27)
- Tutorial Note 8(2018.3.6)
- Tutorial Note 9(2018.3.20)
- Tutorial Note 10-11(2018.3.27 / 4.10)
- Tutorial Note 12(2018.4.17)
Assignments
- Homework 01
- Homework 02
- Homework 03
- Homework 04
- Homework 05
- Homework 06
- Homework 07
- Homework 08
- Homework 09
Quizzes and Exams
- Quiz 1
- Suggested solution to Quiz 1
- Midterm Test
- Suggested solution to Midterm Test
- Quiz 2
- Suggested solution to Quiz 2
Solutions
- Suggested Solution to Homework 1
- Suggested Solution to Homework 2 (updated on Feb 2)
- Suggested Solution to Homework 3
- Suggested Solution to Homework 4
- Suggested Solution to Homework 5
- Suggested Solution to Homework 6 (updated on Mar 23 for Q23c)
- Suggested Solution to Homework 7
- Suggested Solution to Homework 8 (updated on Apr 12)
- Suggested Solution to Homework 9
Assessment Scheme
| Homework (graded about three times) | 10% | |
| Two Quizzes (Quiz 1 on Feb 6; Quiz 2 is on Apr 10) | 10% | |
| Midterm (10:30am-12:15pm on March 13, ERB 407) | 30% | |
| Final Exam (The date TBA by the University) | 50% |
Useful Links
- Probability, Mathematical Statistics, Stochastic Processes (An open source)
- Essentials of Stochastic Processes (Richard Durrett)
- Markov Chains (James Norris)
- A First Course in Probability (Sheldon Ross)
Honesty in Academic Work
The Chinese University of Hong Kong places very high importance on honesty in academic work submitted by students, and adopts a policy of zero tolerance on cheating and plagiarism. Any related offence will lead to disciplinary action including termination of studies at the University. Although cases of cheating or plagiarism are rare at the University, everyone should make himself / herself familiar with the content of the following website:
http://www.cuhk.edu.hk/policy/academichonesty/and thereby help avoid any practice that would not be acceptable.
Assessment Policy Last updated: April 17, 2018 17:51:46